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Open Access Article
1 - Appraising the Effect Of Macroeconomic Variables On Stock Returns
Zahra Pourzamani Azita Jahanshad Hashem Kamali RezaeiInvestors consider macroeconomics variables in making decision about their investments. This implies thatthey seek to decline investment risk (systematic risk) and obtain expected returns. The goal of this study is toinvestigate the effect of macroeconomic variables of MoreInvestors consider macroeconomics variables in making decision about their investments. This implies thatthey seek to decline investment risk (systematic risk) and obtain expected returns. The goal of this study is toinvestigate the effect of macroeconomic variables of employee rate, Gross Domestic Product (GDP), inflationand growth of stock price index on stock returns in Tehran Security Exchange in period 1379-1385 using theregression model. The results of research indicate that growth of employee rate do not have significant effect onreturns and GDP (limit effect), inflation (negative limit effect) and growth of stock price index (significanteffect) affect returns affect returns. To understand the effect of macroeconomic variables on share returns canhelp investors to make decisions appropriately and also can help policymakers to direct macroeconomic policiesand to determine the effect of these policies on security exchange. Manuscript profile -
Open Access Article
2 - On the relationship between Tehran stock exchange indexes and capital expenses of government
G. Talebnia N. JaliliThe government investments can have strength role in development activity of stock exchange .Therefor,the aim of this research is survey and studying a bout the relationship and effect of capital expenses ofgovernment on the activity of tehran stockexchange as a mainpar MoreThe government investments can have strength role in development activity of stock exchange .Therefor,the aim of this research is survey and studying a bout the relationship and effect of capital expenses ofgovernment on the activity of tehran stockexchange as a mainpart of capital market and important part ofeconomics. This stady address the following hypothesis: «there is a meaningful relationship between tehranstock exchang indexs and capital expenses of government.» this hypothesis has six secondry hypotheses inwhich the meaningful relationship between capital expenses of government and six tehran stock exchangindexs such as tehran price index, tehran dividend price index, tehran dividend index, financial, industrialand 50 more activ company index (tse-50) are considersd.The results of this research revealed that: there is a positive and meaningful relationship between capitalexpenses of government and tehran price index, tehran dividend price index and industry index, in period ofsurvey and a not very strong relationship between capital expenses of government and tehran dividend,financial and fifty more activ company indexes, on during five years (1377-1381) has been observed.In the light of these findings, we can utilize government financial policy and specialy capital expenses ofgovernment for predict the changes of tehran stock exchange indexs. Manuscript profile -
Open Access Article
3 - Modeling Behavior of Stock Price Using Stochastic Differential Equation with Stochastic Volatility
Saber Molaei Mohammad Vaez Barzani Saeid SamadiThe purpose of this article is modeling the behavior of stock price using stochastic differential equations. The data for this study include daily observations of the total stock market index, the index of the top 50 companies and the index of the 30 largest companies i MoreThe purpose of this article is modeling the behavior of stock price using stochastic differential equations. The data for this study include daily observations of the total stock market index, the index of the top 50 companies and the index of the 30 largest companies in the Tehran Stock Exchange. The data are daily from March 25, 2006 to April 15, 2015.The geometric Brownian motion and geometric Brownian motion with nonlinear GARCH are used to modeling the behavior of price index. The results of this study includes the following: (1) According to the log likelihood function, geometric Brownian motion with nonlinear GARCH in the three groups studied data has better performance than the geometric Brownian motion. (2) Based on the model of stochastic differential equations with stochastic volatility, the total market index is more influenced by the good news. (3) The impact of the bad news on the index of the 30 largest companies is more than the impact of the good news. (4) The unconditional variance of the total stock market index has two structural breaks; the unconditional variance of index of the top 50 companies has one structural break and no structural breaks in the unconditional variance of index of the 30 largest companies. Manuscript profile -
Open Access Article
4 - An Investigation Stock Price Index Convergence in Middle East stock markets: Cluster Analysis Approach
Behnaz Nanavay Sabegh Ali Fegheh Majidi Ahmad MohammadiThe capital market in each country is considered as the most important part of the economy and its changes and fluctuation can reflect the full-fledged economic structure of each economy. The study of the global trend of convergence of stock markets indicates the interd MoreThe capital market in each country is considered as the most important part of the economy and its changes and fluctuation can reflect the full-fledged economic structure of each economy. The study of the global trend of convergence of stock markets indicates the interdependence of the economies of each other and the mobility of capital between countries. The stock market index reflects the trend of stock markets movements and it show the changes in the economy. In this study, the hypothesis of the convergence of the index of prices of stock markets in Middle East countries during the period from January 2007 to February 2017 has been investigated using cluster analysis method. The results show that the stock markets do not form a convergent cluster. However, there are two converging clusters between stock markets but the Jordanian stock market is not in any cluster and forms a non-convergent cluster. Manuscript profile -
Open Access Article
5 - Predicting Index of Stock Exchange by Hidden Markov Model and K-Mean Algorithm
Saeid Asgari Naser Yazdani Mohsen Nazem BokaeiStock price prediction is a classic problem that has been analyzed by different tools and models. Stock market trend changes depends on supply and demand rule and other macroeconomic forces in the market circumstance. Non liner and full swing process makes it hard to pr MoreStock price prediction is a classic problem that has been analyzed by different tools and models. Stock market trend changes depends on supply and demand rule and other macroeconomic forces in the market circumstance. Non liner and full swing process makes it hard to predict future stock price. Traditional statistical techniques and models cannot explain seasonal and non-station time series data in stock markets. Hidden markov model has widely used in the way of predicting statistical time series. It extensively has used in such majors as speech recognition and DNA sequencing and also it can be used in order to next stock price prediction. In this study we tried to use discrete hidden markov model to predict next day’s index in Brussels (Euro Next) and answer the question that “which market will get the more accurate prediction by hidden markov model?. Manuscript profile -
Open Access Article
6 - The Role of Inflation Regime in the Exchange Rate Pass-Through to stock price in Iran: Markov-swiching Approach
Maryam Lashkarizadeh Donya Ahadiyanpour ParvinThe main objective of this study was to examine the impact of Inflation Regime on the Pass-Through to stock price in Iran, Using time series data monthly from the march 2009 to feb 2016. Then, we used the Markov-Switching model for extraction of high and low inflationar MoreThe main objective of this study was to examine the impact of Inflation Regime on the Pass-Through to stock price in Iran, Using time series data monthly from the march 2009 to feb 2016. Then, we used the Markov-Switching model for extraction of high and low inflationary environments and Then we tested the impact of inflationary environments with the influence of liquidity, oil prices and nominal exchange rate impact on stock price index by using co integration Johansen- Juselius method, Results showed that the inflationary environments have the asymmetric impact on the degree of exchange rate crossing over the stock price, so in an environment with high inflation, the Exchange Rate Pass-Through was 89%, and in an environment with low inflation, the exchange rate crossing was 57% Also the results indicated that liquidity and oil prices have significant and positive impact on the stock price index and nominal effective exchange rate has a significant and negative impact on the stock price index. Due to Intensify the degree of crossing the exchange rate of inflation environments and its negative impact on the stock price, especially in high inflationary conditions, it’s not appropriate policy for development and contributes to capital markets. Manuscript profile -
Open Access Article
7 - The Designing Early Warning System of Financial Crisis Outbreak in Tehran Stock Exchange by Logit & Probit Model
alireza gholizadeh Mir Feiz Fallah Shams Mohammad Ali Afshar KazemiEncountering with financial crises of supervision and predicting such these events which are necessary to decrease their negative effects on finanicial and economical markets. The current paper is aimed to review the designing the early warning system of financial crisi MoreEncountering with financial crises of supervision and predicting such these events which are necessary to decrease their negative effects on finanicial and economical markets. The current paper is aimed to review the designing the early warning system of financial crisis outbreak in Tehran stock Exchange. Due to this purpose, it’s used the weekly datas during the years from 1997 to 2019 (1121 weeks). The mean of crises in this present papper is the falling more than 15% of price index (TEPIX) toward last three months. Hence, it’s been used the dummy variable for operating the dependent variable. It’s been used the residual of auto regressive integrated moving average (ARIMA) for measuring the shocks caused by the price of stocks, exchange rate, price of oil and gold. The result is modeled by Logit & Probit model and showed that probability of the crisis outbreak is increased by decreasing the stock price in past period as well as the outbreaking of crisis in past period after reviewing and analyzing the data. While the decreasing of exchange rate, increasing of the gold price, and decreasing of oil price don’t affect on crisis outbreak in current periods as meaningfully. Based on weekly data, 44 crisis has occurred which both models have predicted 36 crisis. The power of crisis predicting is 82% and the power of predicting for total model is about 99%. Manuscript profile -
Open Access Article
8 - The Effect of Exchange Rate and its Volatility on Stock Price Index in Iran
Azadeh Mehrabian Ilnaz ChegeniOne of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates an MoreOne of the effective factors on stock price index is exchange rate that often its quantities is fluctuating in different domains. In different countries with considering the differences in investment infrastructure and economic situation, the effect of exchange rates and its volatility on stock price index can be different. This article uses monthly mean of Tehran price index (TEPIX) and real exchange rate between 1380/M1-1391/M3 with purpose of studying the effect of exchange rate and its volatility on TEPIX. By Using Eviews6 software, at first, volatility of exchange rate is calculated by GARCH method and then the effect of exchange rate and its volatility on TEPIX is estimated by VAR model. The results indicate that in all periods the effect of exchange rate is more than its volatility. Based on the results of Johansen test, exchange rate and its volatility has a significant long-run equilibrium relationship with TEPIX. Exchange rate has negative effect on TEPIX and its volatility has a positive one. Manuscript profile -
Open Access Article
9 - Evaluation the Effect of Exchange Rate Fluctuations on Medical Care Price Indexes in Iran
Hamid Kordbache Zahra AhmadiIntroduction: Given the importance of medical care on the public health and its high inflation rate relative to the changes in the cost of living in Iran, this research is to study the effects of exchange rates on the inflation of medical care. Methods: In this study, a MoreIntroduction: Given the importance of medical care on the public health and its high inflation rate relative to the changes in the cost of living in Iran, this research is to study the effects of exchange rates on the inflation of medical care. Methods: In this study, an ARCH model has been used to examine the effects of exchange rate fluctuations on the consumer and producer price indexes of medical care for a quarterly dataset over the period 2004 -2014. Moreover, ECM integration method has been applied to investigate the long-term relationship between the variables. Results: Based on the results of ARCH and ECM models, exchange rate, liquidity and GDP have the significant and positive impact son medical care price index in the short and long-term. The finding show that the effects of exchange rate changes on medical care price index for consumer price index and producer price index are0/23 and 0/14 in the short-term and 0/327 and 0/256 in long-term respectively. Conclusion: However the finding of this study asserts a stronger relationship between exchange rate and medical care over the consumer price index compare to the producer price index. Manuscript profile -
Open Access Article
10 - Impact of cash flow shock and stock prices on stock price forecast In the Tehran Stock Exchange
iraj noravesh narges mohseni اکبر رحیمی پورThe main purpose of this research is to investigate the effect of cash flow shock and stock prices on prediction of stock price index in Tehran Stock Exchange. The study period in this study was seasonal data from the beginning of the year 2011 to the end of 2017 and th MoreThe main purpose of this research is to investigate the effect of cash flow shock and stock prices on prediction of stock price index in Tehran Stock Exchange. The study period in this study was seasonal data from the beginning of the year 2011 to the end of 2017 and the number of observations for each of the variables examined is 68. To investigate the least squares and all relevant tests were used. After statistical analysis, it is concluded that there is a relationship between stock price deviation with the creation of a bubble in the stock market of Tehran. There is also a relationship between liquidity and price bubbles in the Tehran Stock Exchange. And in the study of the predictive power of the model The regression revealed that the standard deviation of the forecast in high fluctuation periods is high and the regression model introduced in times of crisis and price bubbles calculates the amount of bubbles more than its actual value. In fact, the predicted price is always in the bubble period The price is higher than real prices, and this results in more severe inflationary conditions in the financial market. Manuscript profile -
Open Access Article
11 - Investigation of economic uncertainty on cash holding
Mehran Matinfard Aliakbar ChaharmahaliThe purpose of this study is to investigate the effect of economic uncertainty on cash holdings in listed companies in Tehran Stock Exchange. In this regard, the financial information of 135 companies during the period 2010-2010 was systematically extracted and analyzed MoreThe purpose of this study is to investigate the effect of economic uncertainty on cash holdings in listed companies in Tehran Stock Exchange. In this regard, the financial information of 135 companies during the period 2010-2010 was systematically extracted and analyzed as statistical sample of research. The purpose of the research is applied and it uses the correlation method. It is also a time-consuming type of post-event research. Statistical analysis was performed using SPSS, R software at 95% confidence level and panel data and linear regression model were used to test the hypotheses. The empirical evidence from the research hypotheses suggests that there is a negative and significant relationship between the variables of stock market index economic uncertainty and consumer price index with cash holding level. The same result was also found among the variables of economic uncertainty effect on cash holding With a year delay . Therefore, both research hypotheses were confirmed. Manuscript profile -
Open Access Article
12 - Simulation of Model Changes by Exchange Rates and Gold Price on the Tehran Stock Exchange Performance with System Dynamics Approach
A. Naghi Mosleh Shirazi M. Hashem Moosavihaghighi Hooman PashootanizadehIn this study, after considering the important impact of Stock market on the country’s economy, it will analyze the long-term relationship between Tehran Stock exchange market and the variables of exchange rate and gold’s price. Keeping this in mind, by usin MoreIn this study, after considering the important impact of Stock market on the country’s economy, it will analyze the long-term relationship between Tehran Stock exchange market and the variables of exchange rate and gold’s price. Keeping this in mind, by using the System Dynamics method and the relationship between Financial, Stock exchange, exchange rate and gold market’s data, it will analyze and simulate the movement of large capitals from the stock market (in this study, Chemical industry) to the currency and gold market and vice versa. The simulation is done with the Vensim DSS Software. The overall result is showing that the change in the Macro Economic variables will increase the value of the stock market. In this study, it has used different scenarios for changing the macro economic variables and the results are showing that decreasing and increasing the interest rate by 5% will increase and decrease the stock market’s value respectively 21.86% and 3.14% on future. Manuscript profile -
Open Access Article
13 - The identifying and investigating the factors of not applying inflation Impacts on the financial reporting in Iran
Sadegh Nekooei Mahdi Salehi Yahya kamyabiIn this paper, it has been tried to identify and study the causes of non applying inflation effects on financial reporting in Iran. The current research is a descriptive and Correlational research and through employing questionnaire has offered the required data to rese MoreIn this paper, it has been tried to identify and study the causes of non applying inflation effects on financial reporting in Iran. The current research is a descriptive and Correlational research and through employing questionnaire has offered the required data to researchers. the hypothesis of the paper has been examined using t-test and the data from 128 questionnaires received from statistical population composed of faculty members of public universities , PhD and MSc students of financial management and accounting , the autonomous auditing enterprises and federal Institutions . the research results analysis indicates that the factors of not applying inflation Impacts on the financial reporting in Iran includes: absent of inflation accounting standard, escape of economical firms from financial regulations and laws as consequence of assets reevaluation, not existing requirement by authorized organizations about complementary reporting of financial statements involving inflation influences, inability of administers at benefits recognition and or inflation accounting disadvantages, not believing of administers about inflation accounting performance, increase taxes payable on reevaluation assets, not being coordinated and not being adequate of price levels changing indicators. Manuscript profile -
Open Access Article
14 - Locally Stationary Wavelet Process and Its Application in Consumer Price Index
Bistoon Hosseini Reza PoortaheriIn this paper the new model of Locally Stationary Wavelet (LSW) processes is introduced which is based on reconstruction of functions using wavelets. This model creates a new class of time series that can have a non-stationary behavior. It is observed that, LSW model ha MoreIn this paper the new model of Locally Stationary Wavelet (LSW) processes is introduced which is based on reconstruction of functions using wavelets. This model creates a new class of time series that can have a non-stationary behavior. It is observed that, LSW model has a construction similar to moving average model. Finally time series data for Consumer Price Index (CPI) of the country (Iran) in a definite time interval is investigated using this model Manuscript profile -
Open Access Article
15 - Presenting a New Bankruptcy Prediction Model Based on Adjusted Financial Ratios According to the General Price Index
Naimeh Jebelli Iman Dadashi Mohammad Javad Zare Bahnamiri -
Open Access Article
16 - Analyzing the Effect of Monetary Volatility on the Iranian Stock Market
Nafiseh Vatanchi MirFaiz Falah Shams Lialestani Gholamreza ZomorodianNowadays, financial markets and especially the stock market are important and undeniable sources of financing for investment toward the economic growth and development of countries. These markets also have a tangible role as a basis for implementing monetary policy. Thi MoreNowadays, financial markets and especially the stock market are important and undeniable sources of financing for investment toward the economic growth and development of countries. These markets also have a tangible role as a basis for implementing monetary policy. This study aims to investigate the effect of monetary volatility on the seasonal performance of the Iranian stock market from April 2001 to March 2021.The TEDPIX index of the Tehran Stock Exchange was used for designing and explaining the research model for measuring monetary policy uncertainty in terms of the debt of banks to the Central Bank and to measure the Iranian stock market’s performance. With portfolio theory as the theoretical basis for the study, the housing price index and the exchange rate were added to the research model as other independent variables due to their importance to the portfolio of individuals. In this regard, monetary policy uncertainty was first calculated using the exponential general autoregressive conditional heteroskedastic (EGARCH) method. Then, the effect of uncertainty on the TEDPIX index was calculated using the vector auto regression (VAR) statistical method in EVIEWS 12. The findings indicate a significant negative correlation between monetary policy uncertainty and short and long term TEDPIX index. Moreover, exchange rate and housing price index has a significant positive effect on the TEDPIX index. Manuscript profile -
Open Access Article
17 - Price Index Convergence in Iran Provinces
Kiumars shahbazi Frooz fallahi Amir GholamiLower level of trade and non-trade barriers between different regions of a country raises the possibility of purchasing power parity theory and the law of one price within an intra-national context. Of course, it is possible due to economic and geographical conditions, MoreLower level of trade and non-trade barriers between different regions of a country raises the possibility of purchasing power parity theory and the law of one price within an intra-national context. Of course, it is possible due to economic and geographical conditions, the prices also be affected by local shocks. Therefore, it leads to the question "whether there is price convergence between different provinces and if any local shocks, what will be the half-life of convergence of provincial price indices? In this paper, we examine the convergence of the consumer price index across Iran provinces using panel unit root test and monthly data during 2002-2011. The results indicate that the convergence of provinces price indices depends on the choice of the numéraire province and by deviations from the law of one price based on a local shock, the convergence of half-life would be about 1.5 years. Manuscript profile -
Open Access Article
18 - The study of "annual price index change" from the perspective of Imami jurisprudence
syyad rahmatolla danesh mir kohanArticle 522 of the "Civil Procedure Law" considers the debt payment criterion to be "annual price index change". The Central Bank of the Islamic Republic of Iran determines that this criterion is general and therefore includes "increasing the value of money". Considerin MoreArticle 522 of the "Civil Procedure Law" considers the debt payment criterion to be "annual price index change". The Central Bank of the Islamic Republic of Iran determines that this criterion is general and therefore includes "increasing the value of money". Considering the necessity of respecting the real rights of each party, this problem arises that from the perspective of Imamiyyah jurisprudence, what amount is the debtor obligated to pay in the assumption of an increase in the value of money? The present article, based on the foundations and sources of Imami jurisprudence and examining the jurisprudential opinions of Shia jurists, tries to prove this hypothesis that in the assumption of an increase in the value of money, the purchasing power of money in religion is a criterion for fulfilling the right. What if the obligation reaches its end, the value of money increases sharply and the change of the annual index is taken into account to pay the debt. In case of inability, the debtor bears the loss, and in the case of the debtor's financial ability and his refusal to pay, the creditor bears the loss, and both cases are in severe conflict with the fair payment intended by jurisprudence. Manuscript profile -
Open Access Article
19 - The Impact of Implementing Privatization Program in Tehran Stock Exchange Price Index (TEPIX)
Sohaila Khoshnevis Yazdi Ibrahim Khush GhamatIn this study, by analyzing the quarterly data of Tehran stock exchange price index, liquidity, the transfer of state-owned enterprises to the non-governmental sector through the stock exchange and the total transfer of shares during the years 2003-2004, and collecting MoreIn this study, by analyzing the quarterly data of Tehran stock exchange price index, liquidity, the transfer of state-owned enterprises to the non-governmental sector through the stock exchange and the total transfer of shares during the years 2003-2004, and collecting about 48 samples using the Vector Self-Regression Model (VAR), the assumption of the influence of the independent variables on Tehran stock exchange price index has been tested. In addition to the assignment of state-owned enterprises to the non-state sector by the stock exchange, two variables of the liquidity volume and total transfers can also be effective in evaluating these effects on the index. Manuscript profile -
Open Access Article
20 - The Testing of Supply Side and Demand Side at Improving of Financial Markets
Erfan Memarian Mohammadreza Mahjoub Soudeh HasanpourIn this survey as a case study, the mutual effects of Tehran - Stock Exchange - Price Index (TEDPIX) and Iran's economic growth have been investigated. To do this, the data about the above variables during 1999-2010 has been collected through quarterly data and by econo MoreIn this survey as a case study, the mutual effects of Tehran - Stock Exchange - Price Index (TEDPIX) and Iran's economic growth have been investigated. To do this, the data about the above variables during 1999-2010 has been collected through quarterly data and by econometric method evaluation, especially Johansson's cointegration test and vector error correction model, the mutual relationship between the variables has been dealt with. The results of Johansson's cointegration test showed that there is a long term balance relation in the above variables. Also the results of the vector error correction method showed that there is a unidirectional relationship between the above variable from economic growth to Tehran - Stock Exchange - Price Index (TEDPIX).and consequently demand side approach was approved in improving fainancial markets. Manuscript profile -
Open Access Article
21 - Mechanism of impact of shocks on oil prices, currency prices and investment, taking into account adjustment costs on the stock price index
Peyman Armagan Manijeh Hadi-Najad Marjan DamnKeshide Masoume ShojaeiAbstractThe present article explains the mechanism of the effect of shocks on oil prices, currency prices and investment by considering the adjustment costs on the stock price index using SVAR structural self-regression model for the years 1370-1397. Based on SVAR model MoreAbstractThe present article explains the mechanism of the effect of shocks on oil prices, currency prices and investment by considering the adjustment costs on the stock price index using SVAR structural self-regression model for the years 1370-1397. Based on SVAR model estimation results; A shock in oil prices will reduce production by 5 percent and reduce employment in the country by 1 percent. The results also show that a single impulse from the oil price range increases the stock price index by 33%, as well as an exchange rate impulse from the exchange rate increases the stock price index by 7% and an impulse from Taking into account the adjustment cost, the investment area will reduce the stock price index by 40%, as well as a shock from the commercial period and the production gap will reduce the stock price index by 17%. Also based on the results of analysis of variance among the variables of the model; Investing in adjustment costs, oil price shocks, currency shocks, real interest rate shocks and production gaps, respectively, accounted for the largest percentage of explanatory changes in the model during the period under review. Therefore, reducing investment adjustment costs by applying various policies such as; Distributing skills and supporting unemployed workers, developing technical and vocational education, reducing labor costs between industries, using trade liberalization policies can be helpful in ensuring macroeconomic stability and stock market and stock market index.. Manuscript profile -
Open Access Article
22 - Analyzing the Impact of Exchange Rate Unification on TOT (Terms of Trade) in IRAN
سید کمیل طیبی محسن نظری فارسانی احمد گوگردچیان زهرا زمانیAbstractTerms of trade is one of the most important tools using for analyzing macroeconomic problems because, during time, it is a good criteria for assessing a country’s profit from international trade and its changes have direct effects on countries’ welfa MoreAbstractTerms of trade is one of the most important tools using for analyzing macroeconomic problems because, during time, it is a good criteria for assessing a country’s profit from international trade and its changes have direct effects on countries’ welfare.Besides, unification of exchange rate is an important issue in economical policiesConsidering the impact of exchange rate changes on terms of trade as well as to the terms of the importance of exchange rate unification policy,the purpose of this study is to analyze the effect of exchange rate unification on the terms of trade in Iran during the years 1991-2015. For this purpose, the structural vector autoregression (SVAR) model is used.Results of structural vector auto regressive model for Iran’s economy during the period under reviewsuggest that exchange rate unification destroys the trade relationship in the short run but improves in the long run. If the rate of exchange rate unification is higher, it will have a greater effect on the trade relationship. Manuscript profile -
Open Access Article
23 - The effect of manufacturing purchasing managers index on stock market index in Iran
Sakineh Sejoodi Parviz Jafarzadeh BarenjiAbstract Considering the increasing development of the stock exchange market and its potential for creating economic growth and development of the country, it is very important to study the factors affecting this market and this issue is very important for all users of MoreAbstract Considering the increasing development of the stock exchange market and its potential for creating economic growth and development of the country, it is very important to study the factors affecting this market and this issue is very important for all users of this market. The main purpose of this study is to investigate the effect of the manufacturing Purchasing Managers Index (PMI) on the stock price index in Iran. Therefore, the present study has used the monthly data from 2018:10 to 2022:11 and using the Granger causality method and Johansen co-integration to investigate the relationship between Purchasing Managers Index and total stock price index and manufacturing stock price index. The results indicate that there is a one-way causality from the growth of the manufacturing purchasing managers index to the growth of the total stock price index and the growth of the manufacturing stock price index. Also, based on Johansen's cointegration test, there is a long-term positive relationship between the growth of manufacturing purchasing managers index and the growth of total stock price index, and also between the growth of manufacturing purchasing managers index and the growth of manufacturing stock price index. Given that the increase in PMI indicates economic prosperity in the manufacturing sector, this positive relationship shows that, as expected, stock price indices react positively to improvement signals in the manufacturing sector and negatively to negative signals. Manuscript profile -
Open Access Article
24 - برآورد تابع تقاضای بنزین در ایران طی دوره زمانی 1381 تا 1386 با استفاده از تکنیک پنل دیتا*
علی امامی میبدی غلامرضا گرایی نژاد نگین دارابی -
Open Access Article
25 - Predictability Test of Stock Market Price Index in Iran Investment Market and comparing Linear and Nonlinear models predictability potentials
Karim Emami Ghodratollah EmamverdiSince the highly complicated Time Series such as Stock Market Prices are usually stochastic, their changes are assumed to be unpredictable. Some tests which have been used to study the statistical observations related to the economical variables e.g. Stock Market Price, MoreSince the highly complicated Time Series such as Stock Market Prices are usually stochastic, their changes are assumed to be unpredictable. Some tests which have been used to study the statistical observations related to the economical variables e.g. Stock Market Price, are often go wrong while encountering the chaotic data and recognize them as stochastic ones, though these data are actually generated from the deterministic systems which bear few tribulations. For this reason the predictable and non-linear tests such as HURST, BDS, Runs Test, and Correlation Dimension have been used to study the existence of deterministic chaotic trend and non-linear process in Time Series of Daily Stock Market Price Index of TEHRAN STOCK EXCHANGE from 23 rd October, 2000 to 24 th September, 2002. The result of the above mentioned tests shows the predictability and the existence of a non-linear process in the sample data. After the illustration of predictability and the non-linear process in daily stock index data, then the linear time series models (AR), non-linear (GARCH) and Artificial Neural Network (ANN) have been estimated to present a suitable model for predicting the Stock Price Index. Comparing the potential of predictability of these models by such criteria as: CDC, RMSE, MAE, MAPE and U-THEIL inequality coefficient, it has been revealed that there is the highest potential of predictability in Artificial Neural Network models than the other ones Manuscript profile -
Open Access Article
26 - Evaluating the Effect of Content of Inflation Accounting Information in Comparison with Historical Information in Designing Bankruptcy Prediction Models Based on Traditional and Meta-Innovative Approaches
Naeemeh Jebelli Iman dadashiAbstractBankruptcy Prediction is one of the branches of finance that has received more attention in in recent research as bankruptcy patterns have been developed. In most of the researches in the field of Prediction the financial performance of companies and in particul MoreAbstractBankruptcy Prediction is one of the branches of finance that has received more attention in in recent research as bankruptcy patterns have been developed. In most of the researches in the field of Prediction the financial performance of companies and in particular, bankruptcy, only Predicting or comparing the predictive power of models using historical information of financial statements has been done. Since historical accounting information has been used more in Iran, the main purpose of this study is to consider the effects of inflation on input variables in designing a bankruptcy prediction model. Therefore, the variables in design of two different models were classified into two groups of financial ratios, adjusted and historical. Then, the ratios were identified using the LARS algorithm that had the highest ability to differentiate between bankrupt and non-bankrupt companies. Finally, the final bankruptcy prediction model was designed using the logit regression test and SVM and Naive Bayesian algorithms. For this purpose, the data of 50 companies listed on the Tehran Stock Exchange were used, which had experienced bankruptcy according to Article 141 of the Commercial Code. The results of this study indicate that the financial ratios adjusted based on the price index are more suitable predictor for corporate bankruptcy. Also, the bankruptcy prediction model designed by SVM algorithm can be a very good predictor for corporate bankruptcy with 99.4% accuracy. Manuscript profile -
Open Access Article
27 - Evaluation of market efficiency with using advanced econometric models in Tehran Stock Exchange
mohammad jouzbarkand hosein panahianThis study is an attempt to introduce a suitable model to evaluate the efficiency of capital market in Iran. Optimal allocation of resources in micro and macro investments is essential to the capital market. The main task of the capital market is to streamline capital a MoreThis study is an attempt to introduce a suitable model to evaluate the efficiency of capital market in Iran. Optimal allocation of resources in micro and macro investments is essential to the capital market. The main task of the capital market is to streamline capital and allocate resources effectively. Investigating what factor or factors influence the market price of a share in market and whether there is a systematic pattern of pricing a share is In terms of market efficiency .In this regard, the daily data of the Tehran Stock Exchange Index and Total Price Index during 2008-2018 have been used. ARCH, GARCH and Kalman filters were used to perform the test. The results of the tests show that there is no weak form of market efficiency in the Tehran Stock Exchange. And this inefficiency has not changed significantly since the first period. In other words, it is possible to predict returns in the Tehran stock market. Manuscript profile -
Open Access Article
28 - Effects of Monetary Policy on Gross Development Product and Inflation through House Price Index in Iran
H. Sharifi-Renani S. Ghobadi F. Amrollahi N. HonarvarThe purpose of this research was to analyze the effect of monetary policy on gross domestic product and inflation via house price index as a proxy for other assets in Iran in 1989-2008. For the analysis time series data and vector error correlation method were used. The MoreThe purpose of this research was to analyze the effect of monetary policy on gross domestic product and inflation via house price index as a proxy for other assets in Iran in 1989-2008. For the analysis time series data and vector error correlation method were used. The results showed that in the pattern 1 the positive monetary shocks in the short run increased the product and decreased the prices but, in the long run it decreased the product and increased the prices. The debt shocks of the banks to the central bank in the short run had little effect on the product and the prices. In the intermediate run these shocks had decreased the product and increased the prices. And in the long run it increased the product and decreased the prices. In pattern 2 positive shock of the legal deposits ratio leads to decrease in the production and increase in the inflation in the short, intermediate and the long run, through the banking lending. Results shoed also that money policy instruments (banks loan to the central bank and the rate of legal deposits) had a little effect on the granted facilities of the banks. Manuscript profile
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